Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0481 |
| Annualized Std Dev | 0.1974 |
| Annualized Sharpe (Rf=0%) | 0.2436 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4369.0000 |
| NAs | 1.0000 |
| Minimum | -0.1143 |
| Quartile 1 | -0.0044 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1093 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0124 |
| Skewness | -0.3859 |
| Kurtosis | 14.1658 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0090 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0103 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0089 |
| Downside Deviation (0%) | 0.0089 |
| Maximum Drawdown | 0.6523 |
| Historical VaR (95%) | -0.0172 |
| Historical ES (95%) | -0.0304 |
| Modified VaR (95%) | -0.0180 |
| Modified ES (95%) | -0.0262 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-23 | 2009-03-09 | 2014-06-05 | -0.6523 | 1772 | 452 | 1320 |
| 2020-01-21 | 2020-03-23 | 2021-02-24 | -0.4159 | 277 | 44 | 233 |
| 2018-01-29 | 2018-12-24 | 2019-09-11 | -0.1673 | 408 | 229 | 179 |
| 2014-12-30 | 2015-08-25 | 2016-03-17 | -0.1344 | 306 | 165 | 141 |
| 2004-03-08 | 2004-05-10 | 2004-09-02 | -0.0870 | 125 | 45 | 80 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 | -0.2 | 0.9 |
| 2004 | 0 | 0.6 | 0.8 | 0.1 | -0.1 | -1.1 | -0.1 | 0.1 | 1 | -0.1 | 0.6 | -0.3 | 1.5 |
| 2005 | 0.7 | 0.7 | -0.4 | 1.2 | 1.1 | 0.8 | -0.3 | 0.5 | -0.2 | -0.3 | 1 | -0.5 | 4.3 |
| 2006 | 0.4 | 0.3 | -0.2 | -0.8 | 1.2 | -0.1 | -0.1 | 0.5 | -0.4 | 0 | 0.1 | -0.6 | 0.3 |
| 2007 | 0.7 | 0.1 | -0.2 | 0.6 | 0.5 | -0.3 | 1.3 | 0.7 | 1.3 | -2.7 | 1.4 | -0.6 | 2.7 |
| 2008 | 1.8 | -3.2 | 4.6 | 3 | -1 | 1.1 | 0.5 | -0.4 | 4.3 | 2.4 | -11.4 | 2.3 | 3.1 |
| 2009 | -3.6 | -1.6 | 2.3 | 0.5 | 3 | 1.6 | 0 | -1.9 | -2.2 | -2.4 | 1.2 | -1.3 | -4.4 |
| 2010 | 1.2 | 1.2 | 1 | -0.9 | -1.9 | -0.3 | -0.2 | 2.7 | 0.5 | -0.3 | 1.8 | -0.3 | 4.5 |
| 2011 | 1.1 | -1.2 | 0.7 | 0.1 | -1.8 | 1.4 | -0.2 | -1 | -1.5 | -2.5 | -0.3 | -0.7 | -5.8 |
| 2012 | 0.9 | 0.2 | 0.3 | 0.4 | -1.9 | 1.6 | -0.4 | 0 | 0.1 | 0.7 | 0.3 | 1.5 | 3.6 |
| 2013 | 0.7 | -0.1 | -0.4 | -1.1 | -1.1 | 0.4 | 1.4 | -0.6 | 0.6 | 0.4 | -0.7 | 0.2 | -0.3 |
| 2014 | -0.3 | 0.6 | 0.1 | -0.1 | 0.4 | 0 | 0 | 0.4 | -0.9 | 0.7 | -0.3 | -1.4 | -0.9 |
| 2015 | -1.6 | -0.3 | 0 | 0.5 | -0.1 | 0.6 | 0 | -2.8 | -0.6 | 0.1 | 0.7 | -1 | -4.6 |
| 2016 | 0.2 | 0.9 | 0.3 | -0.1 | 0.3 | 0 | -0.3 | -0.2 | 0.4 | -1.3 | -0.2 | -0.3 | -0.4 |
| 2017 | -0.7 | 1.1 | -0.1 | -0.4 | 1.1 | 0.1 | 0.1 | 0.4 | -0.1 | -0.2 | -0.2 | -0.2 | 0.9 |
| 2018 | -0.4 | -0.9 | 1 | -0.5 | 0.1 | -0.1 | -0.9 | -0.2 | 0.3 | 0.5 | 0.7 | 0.7 | 0.3 |
| 2019 | 0 | 0.4 | 1.1 | -1 | -1.3 | 0.2 | -1 | 0.3 | -1.3 | 1.2 | -0.4 | 0.4 | -1.5 |
| 2020 | -1.6 | -1.7 | -5.2 | -3.4 | 0.7 | -0.8 | -0.3 | 0 | -0.3 | 0.2 | 1.3 | 0.8 | -10.1 |
| 2021 | 1.1 | 2.7 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
